English, Article, Journal or magazine article edition: Forecasting Weekly Electricity Prices at Nord Pool Hipòlit Torró

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Bookmark: http://trove.nla.gov.au/version/24177
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Forecasting Weekly Electricity Prices at Nord Pool
Author
  • Hipòlit Torró
Physical Description
  • preprint
Notes
  • This paper analyses the forecasting power of weekly futures prices at Nord Pool. The forecasting power of futures prices is compared to an ARIMAX model of the spot price. The time series model contains lagged external variables such as: temperature, precipitation, reservoir levels and the basis (futures price less the spot price); and generally reflects the typical seasonal patterns in weekly spot prices. Results show that the time series model forecasts significantly beat futures prices when using the Diebold and Mariano (1995) test. Furthermore, the average forecasting error of futures prices reveals that they are significantly above the settlement spot price at the ‘delivery week’ and their size increases as the time to maturity increases. Those agents taking positions in weekly futures contracts at Nord Pool might find the estimated ARIMAX model useful for improving their expectation formation process for the underlying spot price.
  • Electricity Markets, Power Derivatives and Forecasting Electricity Prices
  • RePEc:fem:femwpa:2007.88
Language
  • English
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